Financial Modelling with Forward-looking Information: An Intuitive Approach to Asset Pricing (Contributions to Management Science)
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- Synopsis
- This book focuses on modelling financial information flows and information-based asset pricing framework. After introducing the fundamental properties of the framework, it presents a short information-theoretic perspective with a view to quantifying the information content of financial signals, and links the present framework with the literature on asymmetric information and market microstructure by means of a dynamic, bipartite, heterogeneous agent network. Numerical and explicit analyses shed light on the effects of differential information and information acquisition on the allocation of profit and loss as well as the pace of fundamental price discovery. The dynamic programming method is used to seek an optimal strategy for utilizing superior information. Lastly, the book features an implementation of the present framework using real-world financial data.
- Copyright:
- 2017
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9783319571478
- Related ISBNs:
- 9783319571461
- Publisher:
- Springer International Publishing
- Date of Addition:
- 10/07/18
- Copyrighted By:
- Springer International Publishing, Cham
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Business and Finance, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.